Why can't I connect to my brother MFC-J4510DW printer wirelessly? The printer is connected to the router and I can surf the web. I wonder if some security setting may be keeping it from connecting to my MacBook Pro.

All I can suggest right now is back up first the try to reset the printing system, (all printers in the list will be removed).

Then connect directly to the printer via ethernet or to the Mac using USB and restart the efforts you have made up until now.

As for router settings, it's possible but not likely that your router only allows a small number of clients. It's also posible that you have MAC address filtering on, lastly are you using the correct wireless protocol, (802.11a/b/g WEP or WPA etc)?

First make sure you have the latest drivers.

http://support.apple.com/kb/DL894

Then set up the printer using Print and Fax.